Have to ask ... are you sure you are moving the windage turret in the right direction? Just try moving it the opposite way just to see what happens.
And since you didn't specify, I'm going to assume the worst ... do you have the scope rotated so the elevation turret is positioned to the top of the rifle/scope, and the windage turret positioned so it is on the right side of the scope as looking from behind the rifle? A buddy of mine had his scope rotated so the elevation knob was on the left and the windage knob was on top...